O papel da inovação financeira: uma abordagem empírica para volatilidade e bem-estar

Abstract

In the present dissertation, it will be analyzed the roles of financial innovation within the Brazilian market, through two aspects, connected among themselves, notably: volatility, and welfare. The focus on the volatility concerns the Brazilian equity market, in which is tested the hypothesis that financial innovation, such as options contracts, futures and ADRs, increase the return volatility of the selected stocks. This hypothesis is tested, and therefore confirmed, empirically through a dynamic panel analysis, based on the microeconomic model proposed by Simsek (2013), estimated through Arrelano-Bond and Blundell-Bond, and by cointegration analysis, through Engle-Granger approach, for the case of futures. Secondly, the focus concerning the impact on the welfare falls within the evolution analysis of the integration of three different capital markets, notably the debt, equity and exchange rate markets reducing the Brazilian cost of capital, and, therefore, positively influencing the increase of investments, better diversification, optimal allocation of resources and the smoothening of family consumption. This hypothesis is tested empirically through the tridimensional mathematical model proposed by Jacques & Vaaler (2011), between 1999 and 2014. Unfortunately, it is confirmed the constant deterioration of the integration and higher segmentation of the markets, especially from 2012 onwards. And finally, in that matter, it is analyzed, and confirmed, the relation among the poor integration and the increased volatility of the stocks, due to the introduction of the financial innovation, linked by the importance of information.